表紙画像

Derivation of stochastic Taylor methods for stochastic differential equations

This paper demonstrates a derivation of stochastic Taylor methods for stochastic differential equations (SDEs). The stochastic Taylor series is extended and truncated at certain terms to achieve the order of convergence of stochatsic Taylor methods for SDEs. The systematic derivation of the expansio...

詳細記述

保存先:
書誌詳細
主要な著者: Noor Amalina Nisa, Ariffin, Norhayati, Rosli
フォーマット: 論文
言語:English
出版事項: Penerbit UTM Press 2017
主題:
QA Mathematics
オンライン･アクセス:http://umpir.ump.edu.my/id/eprint/20729/1/mjfas.pdf
http://umpir.ump.edu.my/id/eprint/20729/
https://mjfas.utm.my/index.php/mjfas/article/view/633/pdf
タグ: タグ追加
タグなし, このレコードへの初めてのタグを付けませんか!
id my.ump.umpir.20729
record_format eprints
spelling my.ump.umpir.207292018-08-06T04:34:04Z http://umpir.ump.edu.my/id/eprint/20729/ Derivation of stochastic Taylor methods for stochastic differential equations Noor Amalina Nisa, Ariffin Norhayati, Rosli QA Mathematics This paper demonstrates a derivation of stochastic Taylor methods for stochastic differential equations (SDEs). The stochastic Taylor series is extended and truncated at certain terms to achieve the order of convergence of stochatsic Taylor methods for SDEs. The systematic derivation of the expansion of stochastic Taylor series formula is presented. Numerical methods of Euler, Milstein scheme and stochastic Taylor methods of order 2.0 are proposed. Penerbit UTM Press 2017-07-11 Article PeerReviewed pdf en cc_by_nc_4 http://umpir.ump.edu.my/id/eprint/20729/1/mjfas.pdf Noor Amalina Nisa, Ariffin and Norhayati, Rosli (2017) Derivation of stochastic Taylor methods for stochastic differential equations. Malaysian Journal of Fundamental and Applied Sciences, 13 (3). pp. 159-164. ISSN 2289-5981(print); 2289-599X(online). (Submitted) (Submitted) https://mjfas.utm.my/index.php/mjfas/article/view/633/pdf
institution Universiti Malaysia Pahang Al-Sultan Abdullah
building UMPSA Library
collection Institutional Repository
continent Asia
country Malaysia
content_provider Universiti Malaysia Pahang Al-Sultan Abdullah
content_source UMPSA Institutional Repository
url_provider http://umpir.ump.edu.my/
language English
topic QA Mathematics
spellingShingle QA Mathematics
Noor Amalina Nisa, Ariffin
Norhayati, Rosli
Derivation of stochastic Taylor methods for stochastic differential equations
description This paper demonstrates a derivation of stochastic Taylor methods for stochastic differential equations (SDEs). The stochastic Taylor series is extended and truncated at certain terms to achieve the order of convergence of stochatsic Taylor methods for SDEs. The systematic derivation of the expansion of stochastic Taylor series formula is presented. Numerical methods of Euler, Milstein scheme and stochastic Taylor methods of order 2.0 are proposed.
format Article
author Noor Amalina Nisa, Ariffin
Norhayati, Rosli
author_facet Noor Amalina Nisa, Ariffin
Norhayati, Rosli
author_sort Noor Amalina Nisa, Ariffin
title Derivation of stochastic Taylor methods for stochastic differential equations
title_short Derivation of stochastic Taylor methods for stochastic differential equations
title_full Derivation of stochastic Taylor methods for stochastic differential equations
title_fullStr Derivation of stochastic Taylor methods for stochastic differential equations
title_full_unstemmed Derivation of stochastic Taylor methods for stochastic differential equations
title_sort derivation of stochastic taylor methods for stochastic differential equations
publisher Penerbit UTM Press
publishDate 2017
url http://umpir.ump.edu.my/id/eprint/20729/1/mjfas.pdf
http://umpir.ump.edu.my/id/eprint/20729/
https://mjfas.utm.my/index.php/mjfas/article/view/633/pdf
_version_ 1822920079235350528
score 13.251813

類似資料